Putting the Price in Asset Pricing

• 成果类型: Article
• 署名作者: Cho, Thummim; Polk, Christopher
• 署名单位: Korea University; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13391
• 发表日期: 2024
• 页码: 3943-3984
• 关键词: stock-market; returns; expectation; INFORMATION; INVESTMENT; winners; errors

摘要

We propose a novel way to estimate a portfolio's abnormal price, the percentage gap between price and the present value of dividends computed with a chosen asset pricing model. Our method, based on a novel identity, resembles the time-series estimator of abnormal returns, avoids the issues in alternative approaches, and clarifies the role of risk and mispricing in long-horizon returns. We apply our techniques to study the cross-section of price levels relative to the capital asset pricing model (CAPM) and find that a single characteristic, adjusted value, provides a parsimonious model of CAPM-implied abnormal price.